Optimal Sharpe ratio in continuous-time markets with and without a risk-free asset (Q2397571)
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scientific article; zbMATH DE number 6722441
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| English | Optimal Sharpe ratio in continuous-time markets with and without a risk-free asset |
scientific article; zbMATH DE number 6722441 |
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Optimal Sharpe ratio in continuous-time markets with and without a risk-free asset (English)
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22 May 2017
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continuous-time mean-variance model
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efficient investment strategy
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efficient frontier
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Sharpe ratio
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Hamilton-Jacobi-Bellman equation
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0.9005568
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0.8674557
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0.8662901
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0.86476487
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0.86126655
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0.8590174
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0.8554416
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0.8537004
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